RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/5/22


Key Features in this Release:


Future CTD

  • The delivery probability scenario is now using “Flat” bump opposed to PCA by default

CCY Bond

  • [Curve Analysis] Added ability to plot curve as of custom date

  • Added ability to customize position filter size

Forward Swap Matrix

  • Added ability to send CMS sprd vol strategies to Trade Blotter

  • Added preference to choose curve used in lower carry & roll matrix

  • For fx forwards, added support to subtract actual rate from spot rate

Sprd/Bfly

  • Added support for CMS sprd vol, already available in Forward Swap Matrix

Minor Fixes & Enhancements:

  • Forward Swap Matrix & Sprd/Bfly: Renamed “Preferences” – “Carry & Roll” to “Carry & Roll Period”

  • Market View – Curves: Removed 12th RBA from default fitting points from AUD OIS curve

  • Fed Fund Simulator: Removed “EUR-EONIA” tab

  • Future CTD: Added “Delete Selected Tabs” function under “Tabs” menu

  • Market View – IRVOL: JPY Vol has been updated to pick up the OIS vol


Previous week's release - Future CTD Scenario Analysis, Sprd/Bfly, and Forward Swap Matrix enhancements